Skip to main content

Is a Delta-Neutral Position Also Gamma-Neutral?

Not necessarily. A Delta-neutral position simply has a net Delta of zero, but it can have a positive or negative net Gamma.

For instance, a short straddle is Delta-neutral but has negative Gamma. A long straddle is also Delta-neutral but has positive Gamma.

Gamma-neutrality is a separate condition that requires the net Gamma of the portfolio to also be zero, which is a higher level of hedging.

Does a Short Straddle Position Have Positive or Negative Gamma?
What Is ‘Negative Slippage’ and How Does It Differ from ‘Positive Slippage’?
How Does the Basis between Perpetual Futures and Spot Price Relate to the Funding Rate?
Why Is a “Gamma-Neutral” Position Not Necessarily Risk-Free?